Calculating Congestion Bands

Discussion in 'Automated Trading' started by fandelem, Sep 19, 2005.

  1. Has anyone come across any publicized formulas to calculate congestion bands?

    What about support/resistance "zones"?

    I am not looking to pry into anyone's proprietary trading methodology, but before I start trying to re-invent the wheel, I'd like to know if there are any examples to save me time..



    ps- i'm mainly EURUSD.GBPUSD.scalper.
  2. Metastock help? Anyone with Metastock? Can you translate this code into psuedo code?


    Consolidation breakout (upside)

    If(Ref(Fml("congestion index"),-5),<,10, {and} If(Fml("congestion index"),>=,10, {and} If(CLOSE,>,Ref(HHV(C,80),-5), {and} If(Mov(V,5,S),>=,1.5*(Ref(Mov(V,60,S),-5)), +1,0),0),0),0)

    Consolidation breakout (downside)

    If(Ref(Fml("congestion index"),-5),<,10{%},{and} If(Fml("congestion index"),>=,10{%},

    {and} If(CLOSE,<,Ref(LLV(C,80),-5),{and} If(Mov(V,5,S),>=,1.5*(Ref(Mov(V,60,S),-5)),+1,0),0),0),0)
  3. I posted something along that line many years ago in a public forum about currency consolidation behaviour - I wonder where the posts went?

    In short, currencies for some mysterious reason, honour monthly pivots, high/low, etc. a lot, thus, you can pretty much trading break out based on these levels easily, although you will not get many trades every month.


  4. Sometimes there are diamonds mixed in with the rock here in ET.

    I wonder if anyone realizes what Lawrence just shared....

    I have traded Futures this way in the past aand if you can be patient, you can climb slowley to the stars...

    Just choose they way you want to trade and stick with it...

    Michael B.
  5. I know of a CTA that turned 15k into 60k in a few months using Lawrence's technique with a proprietory altered pivot...
  6. I am a small timer :>

    While I will mentally note that currencies have a monthly pivot action, I am looking more about just getting 2-5 pips a day. I just wanted to see if there was any publically available formulas for calculating a congestion band (noted by my attachment) .. to the visual eye, it's easy.. how do you tell the computer, though? :>

    the objective is, when it breaches these calculated lines, i follow the break for 2-5 pips and be done. it works great manually. i would love to try to find a way to do this programmatically though.

  7. Arnie



    Why do you think they work (better?) with currencies. I have my own theory, but would like to hear yours.
  8. First, I do not really know why those price levels work better with currencies that, say, S&P, stock, etc. It just happen in historical data analysis that these price levels are very good trigger levels.

    My guess is that,

    1. there is no real volume reference to which price level is more important for currencies, thus the camp of volume analysis is eliminated :)

    2. mid month and end of month spot rates are used in many situations as the reference conversion prices, which trigger deriatives to be employed to reduce risks for many institutions. Interestingly, important price levels somehow land on those days quite frequently.
  9. The same is for stocks, on longer time frames, and as a consequence the 'safe' trades are even fewer than in fx.

    Can always rotate though...